BX Options History — November 2019

In November 2019, BX traded between $51.14 and $54.18. ATM implied volatility averaged 22.3%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.5% (HV 20d: 19.8%). Max pain ranged from $49.00 to $51.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2019-11-04: Highest Volume — 26,573 contracts
  • 2019-11-04: Largest IV spike — 8.3% change
  • 2019-11-06: Highest IV Rank — 28.6%
  • 2019-11-04: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.46$51.14$54.18$53.60$54.14
Max Pain$50.00$49.00$51.00$51.00$50.00
ATM IV22.3%20.7%23.5%21.5%21.1%
Expected Move6.5%6.1%7.2%6.1%6.3%
HV 20d19.8%11.5%25.1%25.1%16.8%
HV 60d26.8%25.9%29.1%29.0%26.2%
IV Rank24.7%19.6%28.6%22.2%20.8%
IV Percentile26.1%11.9%35.7%17.5%14.7%
Term Structure0.2%-0.9%1.0%0.6%-0.1%
VWIV23.7%21.1%26.9%22.7%22.2%
Skew 25d3.7%2.8%4.4%3.6%2.9%
Skew 10d8.4%7.2%12.3%8.0%7.2%
Call IV 25d21.0%19.5%22.3%20.2%20.0%
Put IV 25d24.7%22.4%26.2%23.8%22.9%
Bid-Ask Spread %11.544.5530.0211.375.98
Gamma HHI0.180.130.530.130.24
Net GEX15.7M6.7M55.6M16.6M23.4M
Net DEX-460.1M-637.2M-340.7M-568.3M-637.2M
Net VEX-2.5M-2.7M-2.2M-2.5M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.252.230.790.36
Total Volume10,947.94,32826,57320,9529,044
Total OI433,440.9416,318449,160420,487440,558

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$53.60$51.0021.5%6.1%25.1%22.2%22.7%3.6%0.6%16.6M-568.3M-2.5M0.7911.37N/AN/A11,7329,220190,015230,472
2019-11-04$52.98$49.0023.3%7.2%22.8%28.0%26.9%4.0%0.6%13.4M-491.9M-2.6M0.9218.30N/AN/A13,84812,725187,359228,959
2019-11-05$52.90$50.0023.4%7.1%22.9%28.2%25.9%3.6%0.6%13.2M-478.2M-2.6M0.899.60N/AN/A3,9303,509190,854239,158
2019-11-06$51.90$50.0023.5%7.0%24.4%28.6%26.0%3.6%0.4%9.0M-391.6M-2.7M0.6412.68N/AN/A9,3905,970192,373241,087
2019-11-07$51.72$50.0023.4%7.0%24.6%28.3%24.9%3.5%0.6%6.7M-371.1M-2.7M0.4911.68N/AN/A6,3493,081194,792244,782
2019-11-08$51.70$50.0022.7%6.8%24.2%25.8%25.3%3.7%0.9%7.7M-370.3M-2.7M0.7214.46N/AN/A6,1184,416197,365246,336
2019-11-11$51.89$50.0022.4%6.6%22.5%25.2%24.7%3.9%0.5%10.8M-399.6M-2.7M0.588.69N/AN/A2,7341,594195,729241,944
2019-11-12$51.90$50.0022.9%6.4%22.2%26.7%24.1%4.2%-0.9%12.4M-401.8M-2.7M0.4020.72N/AN/A3,2121,299197,402242,680
2019-11-13$52.50$50.0022.5%6.5%21.9%25.4%24.1%3.6%0.6%16.5M-470.9M-2.5M0.255.53N/AN/A9,3192,330197,820243,184
2019-11-14$52.65$50.0021.8%6.5%21.3%22.9%23.2%4.1%1.0%20.8M-503.4M-2.5M0.925.06N/AN/A3,5043,225202,117243,965
2019-11-15$52.50$50.0021.9%6.3%21.2%23.4%22.4%3.5%0.3%55.6M-493.0M-2.5M1.056.31N/AN/A5,5165,771203,375245,785
2019-11-18$52.40$50.0022.5%6.5%20.9%25.5%22.9%3.6%-0.3%14.8M-459.5M-2.5M0.845.20N/AN/A3,6153,049193,902227,015
2019-11-19$52.00$50.0022.6%6.5%21.2%25.8%23.5%3.9%-0.7%12.2M-419.2M-2.5M1.075.45N/AN/A2,6462,839195,395230,291
2019-11-20$51.78$50.0022.8%6.5%13.5%26.3%23.1%4.3%-0.0%10.9M-398.5M-2.5M0.8716.31N/AN/A5,1004,414195,980231,001
2019-11-21$51.72$50.0022.6%6.5%12.8%25.7%23.8%4.4%-0.8%10.3M-379.8M-2.6M0.3830.02N/AN/A3,3781,289197,704232,088
2019-11-22$51.14$50.0022.7%6.6%11.5%25.9%22.6%3.7%-0.6%7.3M-340.7M-2.4M2.2310.42N/AN/A4,69210,476198,504232,690
2019-11-25$52.32$50.0021.1%6.1%14.4%20.9%22.0%3.4%-0.0%12.0M-452.7M-2.4M0.698.24N/AN/A5,8664,064193,625235,530
2019-11-26$53.19$50.0020.7%6.1%15.6%19.6%22.9%3.2%0.4%18.8M-542.0M-2.2M0.624.55N/AN/A8,8275,436195,782236,286
2019-11-27$54.18$50.0020.8%6.1%16.8%19.7%21.1%2.8%0.7%21.3M-631.8M-2.2M0.4120.14N/AN/A10,9244,507198,233236,681
2019-11-29$54.14$50.0021.1%6.3%16.8%20.8%22.2%2.9%-0.1%23.4M-637.2M-2.2M0.365.98N/AN/A6,6302,414201,164239,394